CRAN/E | Dowd

Dowd

Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Installation

About

'Kevin Dowd's' book Measuring Market Risk is a widely read book in the area of risk measurement by students and practitioners alike. As he claims, 'MATLAB' indeed might have been the most suitable language when he originally wrote the functions, but, with growing popularity of R it is not entirely valid. As 'Dowd's' code was not intended to be error free and were mainly for reference, some functions in this package have inherited those errors. An attempt will be made in future releases to identify and correct them. 'Dowd's' original code can be downloaded from www.kevindowd.org/measuring-market-risk/. It should be noted that 'Dowd' offers both 'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more recent version of 'MMR1' toolbox and they both have mostly similar function. The toolbox mainly contains different parametric and non parametric methods for measurement of market risk as well as backtesting risk measurement methods.

Key Metrics

Version 0.12
R ≥ 3.0.0
Published 2016-03-11 2962 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks Dowd results

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Maintainer

Maintainer

Dinesh Acharya

dines.acharya@gmail.com

Authors

Dinesh Acharya

Material

Reference manual
Package source

In Views

Finance

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

Dowd archive

Depends

R ≥ 3.0.0
bootstrap
MASS
forecast

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